DebtRank Systemic Risk Estimation Method

The DebtRank algorithm is used to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches.The method assesses the distress of nodes in an interbank network.

Tags
Data and Resources
To access the resources you must log in
Additional Info
Field Value
Accessibility Both
AccessibilityMode Download
Attribution requirements DebtRank: A Microscopic Foundation for Shock Propagation, Marco Bardoscia, Stefano Battiston, Fabio Caccioli, Guido Caldarelli, PLoS ONE 10(6): e0130406 (2015), doi:10.1371/journal.pone.0130406
Availability On-Line
Basic rights Temporary download of a single copy only
CreationDate 2016-07-06
Creator Squartini, Tiziano, tiziano.squartini@imtlucca.it, orcid.org//0000-0001-9011-966X
Field/Scope of use Research only
Item URL http://data.d4science.org/ctlg/ResourceCatalogue/debtrank_systemic_risk_estimation_method
http://data.d4science.org/ctlg/ResourceCatalogue/debtrank_systemic_risk_estimation_method
Owner Squartini, Tiziano, tiziano.squartini@imtlucca.it, orcid.org//0000-0001-9011-966X
ProgrammingLanguage Matlab/Python
Related Paper Bardoscia M, Battiston S, Caccioli F, Caldarelli G (2015) Correction: DebtRank: A Microscopic Foundation for Shock Propagation. PLOS ONE 10(7). http://journals.plos.org/plosone/article?id=10.1371/journal.pone.0130406
Restrictions on use The related paper must be cited in any publication making use of the method itself
Territory of use World Wide
ThematicCluster Social Network Analysis
UsageMode Download
input The (known or reconstructed) interbank network and banks' equity at the first two time-steps
output Nodes ranking according to the level of distress
system:type SoBigData.eu: Method
Management Info
Field Value
Source https://sites.google.com/a/imtlucca.it/networks---imt-unit-for-the-study-of-networks/downloadable-files/systemic-risk-estimation
Author Squartini Tiziano
Maintainer Squartini Tiziano
Version 1
Last Updated 29 June 2018, 11:32 (CEST)
Created 29 June 2018, 11:32 (CEST)